AvinashAcharya / factorAnalytics
R package factorAnalytics developed during Google Summer of Code 2016
☆24Updated 6 years ago
Alternatives and similar repositories for factorAnalytics:
Users that are interested in factorAnalytics are comparing it to the libraries listed below
- GAS models☆34Updated 3 years ago
- ☆45Updated 8 years ago
- ☆72Updated 4 months ago
- ☆91Updated 3 weeks ago
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- ☆45Updated 10 years ago
- R package for high frequency time series data management☆62Updated 2 weeks ago
- Covariance Matrix Estimation via Factor Models☆33Updated 6 years ago
- R Finance packages not listed in the Empirical Finance Task View☆12Updated last month
- This is a read-only mirror of the CRAN R package repository. rugarch — Univariate GARCH Models. Homepage: http://www.unstarched.net, ht…☆28Updated 7 months ago
- CRAN Task View: Empirical Finance☆57Updated 5 months ago
- R package for mixed frequency time series data analysis.☆77Updated 2 weeks ago
- Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs☆11Updated 11 years ago
- ☆17Updated 3 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆18Updated 2 years ago
- A shiny application to explore the basics of option evaluation☆15Updated 7 years ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆62Updated this week
- R package for inference on the Sharpe ratio.☆19Updated 4 months ago
- ☆30Updated 5 years ago
- An R Package for testing the Efficient Market Hypothesis☆28Updated 8 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 10 months ago
- MSGARCH R Package☆80Updated 2 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆60Updated 2 years ago
- Fixed income tools for R☆59Updated last year
- Fast rolling and expanding window statistics in [R] using single-pass algorithms☆66Updated 8 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- ☆20Updated 10 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated 3 weeks ago